First of all, the swap rate quotation method is different from another quotation method. Banks first quote the spot exchange rate, and then report the spot exchange rate (that is, the swap exchange rate). Customers increase or decrease points from the spot exchange rate to obtain the forward exchange rate. Under the swap exchange rate quotation method, after the bank gives the points, the key for customers to calculate the forward exchange rate is to judge whether to add the points to the spot exchange rate or subtract the points from the spot exchange rate. The principle of judgment is to make the bid-ask spread of forward foreign exchange larger than that of spot foreign exchange, and the profit source of foreign exchange trading is mainly the bid-ask spread of foreign exchange. In the forward foreign exchange business, banks bear more risks than those engaged in spot foreign exchange business, which is manifested in the large bid-ask spread of forward foreign exchange. 2. Example 3.3 In 2004, a customer made an inquiry to the bank, and the bank quoted the forward pound by using the swap rate pricing method: considering the 30-day forward exchange rate, it is greater than the spot foreign exchange bid-ask spread (O.00 10), and the forward exchange rate is 0.0009, which is less than the spot foreign exchange bid-ask spread. Similarly, it can be concluded that the 90-day forward exchange rate should also be added.
Thirdly, ForeignExchangeSwap is a swap transaction in which both parties agree to exchange currency A for a certain amount of currency B and exchange currency B for the same amount of currency A at an agreed price on an agreed date in the future. Refers to buying or selling two forward foreign exchange with the same currency and different delivery periods.
Fourth, this kind of forward-to-forward transaction has two forms: one is to buy forward foreign exchange with short delivery period (such as 30 days) and sell forward foreign exchange with long delivery period (such as 90 days); The other is to buy long-term forward foreign exchange and sell short-term forward foreign exchange. Explanation on the specific pricing of Huilong. Com's foreign exchange swap business: A customer of ICBC is an export processing enterprise, and it needs to pay USD 45 million for machinery and equipment in July 2009. It is estimated that the export income in June 2009 +065438+2009 10 will be about USD 45 million. At that time, the company had abundant RMB funds, but it was short of US dollars. In order to solve the time matching problem of its US dollar receipts and payments, the customer conducted a RMB foreign exchange swap transaction with China Industrial and Commercial Bank on July 1 2009. 5. The transaction direction is that the customer will exchange USD 45 million at the near end, and the customer will exchange USD 45 million at the expiration date of 165438+20091October 24th. According to the contract, according to the spot exchange rate of 6.8330, the customer needs to pay RMB 307 to US dollars at the near end, which is 5 1BP according to the five-month swap quotation of ICBC at that time.